Freddie Mac Multifamily Structured Pass Through Certificates

NPORT-P false 0000872649 XXXXXXXX S000006702 C000018241 C000182250 C000018239 C000018242 LOOMIS SAYLES FUNDS II 811-06241 0000872649 5493007QOEDY6IHOTU14 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2139 Loomis Sayles Limited Term Government and Agency Fund S000006702 5HBZDB7NR78KJHZJWI31 2024-09-30 2024-03-31 N 811643133.83 68376999.15 743266134.68 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 2.16000000 USD N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWJ68 2855000.00000000 PA USD 2843645.67000000 0.382587815765 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 5.77400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6VQ4 969205.70000000 PA USD 943085.42000000 0.126883948561 Long ABS-MBS USGSE US N 3 2042-06-25 Floating 5.88500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283GRK5 15.41000000 PA USD 15.43000000 0.000002075972 Long ABS-MBS USGSE US N 2 2026-06-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403CY21 71616.21000000 PA USD 73340.71000000 0.009867355255 Long ABS-MBS USGSE US N 2 2035-11-01 Floating 5.85500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGC8 470675.56000000 PA USD 467401.07000000 0.062884752606 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 5.73400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L7U1 5501937.84000000 PA USD 5489690.53000000 0.738590159548 Long ABS-MBS USGA US N 2 2070-04-20 Floating 6.09400000 N N N N N N NextGear Floorplan Master Owner Trust N/A NextGear Floorplan Master Owner Trust 65341KBZ8 1260000.00000000 PA USD 1258888.68000000 0.169372533102 Long ABS-O CORP US N 2 2029-03-15 Fixed 5.12000000 N N N N N N GM Financial Revolving Receivables Trust N/A GM Financial Revolving Receivables Trust 2021-1 36263HAA6 655000.00000000 PA USD 597393.41000000 0.080374092418 Long ABS-O CORP US N 2 2034-06-12 Fixed 1.17000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUL4 151471.63000000 PA USD 151204.62000000 0.020343267767 Long ABS-MBS USGA US N 2 2062-08-20 Floating 5.96400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H2NK6 5084628.77000000 PA USD 5037149.02000000 0.677704631621 Long ABS-MBS USGSE US N 2 2028-08-25 Floating 5.50000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC 165183CJ1 24354.98000000 PA USD 24293.58000000 0.003268490096 Long ABS-O CORP US N 2 2032-08-15 Fixed 0.87000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3P6 7855680.88000000 PA USD 7461566.87000000 1.003888986979 Long ABS-MBS USGSE US N 2 2026-08-25 Fixed 2.54100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409AW21 1126.09000000 PA USD 1170.19000000 0.000157438896 Long ABS-MBS USGSE US N 2 2036-02-01 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FF3L9 2124509.12000000 PA USD 2101375.77000000 0.282721850485 Long ABS-MBS USGSE US N 2 2028-01-25 Floating 5.50000000 N N N N N N Hertz Vehicle Financing LLC 549300MNOMKDMDFI8J66 Hertz Vehicle Financing III LLC 42806MCA5 1555000.00000000 PA USD 1578996.76000000 0.212440293769 Long ABS-O CORP US N 2 2028-02-25 Fixed 5.94000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414EWD2 210456.97000000 PA USD 209335.01000000 0.028164206632 Long ABS-MBS USGSE US N 2 2038-07-01 Floating 5.93100000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CEN7 3620000.00000000 PA USD 3447201.54000000 0.463791013629 Long DBT UST US N 2 2027-04-30 Fixed 2.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140J5FU8 645311.48000000 PA USD 660587.85000000 0.088876355208 Long ABS-MBS USGSE US N 2 2040-12-01 Floating 5.82000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLS5 509165.24000000 PA USD 507736.52000000 0.068311536919 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 5.72400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FU2A1 2585070.70000000 PA USD 2588930.21000000 0.348318063907 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 5.90000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ20 6550937.02000000 PA USD 6610838.79000000 0.889430915999 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 6.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403GKF8 1959.19000000 PA USD 2027.17000000 0.000272738108 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371L3D9 1217.44000000 PA USD 1272.86000000 0.000171252252 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.50000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2020-D 63941HAA0 384875.63000000 PA USD 351239.23000000 0.047256186392 Long ABS-O CORP US N 2 2069-05-15 Fixed 1.69000000 N N N N N N Fixed Income Clearing Corp. 549300H47WTHXPU08X20 FIXED INC CLEARING CORP.REPO 000000000 18141274.86000000 PA USD 18141274.86000000 2.440750898439 Long RA CORP US N 2 Repurchase N 3.50000000 2024-04-01 19149800.00000000 USD 18504151.88000000 USD UST N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CGR6 20570000.00000000 PA USD 20552322.55000000 2.765136414946 Long DBT UST US N 2 2026-03-15 Fixed 4.62500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374BQR7 68319.83000000 PA USD 67532.95000000 0.009085971612 Long ABS-MBS USGA US N 2 2045-11-16 Variable 5.41700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31400WUJ7 41442.75000000 PA USD 41591.70000000 0.005595801834 Long ABS-MBS USGSE US N 2 2033-04-01 Floating 5.21100000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2D6 1465.39000000 PA USD 1434.45000000 0.000192992783 Long ABS-MBS USGA US N 2 2061-04-20 Variable 4.78300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5NT7 73417.44000000 PA USD 73175.24000000 0.009845092704 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 5.94200000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHQ6 341308.94000000 PA USD 338013.60000000 0.045476792797 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 5.65000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FJY29 1239233.20000000 PA USD 1235406.20000000 0.166213169463 Long ABS-MBS USGSE US N 2 2025-10-25 Floating 5.82400000 N N N N N N SMB Private Education Loan Trust N/A SMB Private Education Loan Trust 2021-D 78449MAA4 693016.76000000 PA USD 622494.68000000 0.083751250185 Long ABS-O CORP US N 2 2053-03-17 Fixed 1.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412CBQ2 96046.69000000 PA USD 99450.64000000 0.013380219461 Long ABS-MBS USGSE US N 2 2036-08-01 Floating 6.27800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHMV1 81871.32000000 PA USD 81417.68000000 0.010954041385 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 6.35100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371J7C2 6930.07000000 PA USD 6985.62000000 0.000939854471 Long ABS-MBS USGSE US N 2 2031-07-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AH2T2 108481.42000000 PA USD 108331.14000000 0.014575013571 Long ABS-MBS USGSE US N 2 2041-12-01 Floating 6.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RYM2 600793.83000000 PA USD 600395.02000000 0.080777932961 Long ABS-MBS USGA US N 2 2066-09-20 Floating 5.99400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EJZZ4 15983.54000000 PA USD 15932.27000000 0.002143548489 Long ABS-MBS USGSE US N 2 2041-07-01 Floating 5.31400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225BND6 17437.13000000 PA USD 18029.89000000 0.002425765033 Long ABS-MBS USGA US N 2 2031-05-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4WG8 65503.23000000 PA USD 65002.07000000 0.008745463699 Long ABS-MBS USGSE US N 2 2038-11-01 Floating 5.47600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BLH3 10757.08000000 PA USD 10650.32000000 0.001432908012 Long ABS-MBS USGA US N 3 2061-02-20 Floating 6.04400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ79 17368193.69000000 PA USD 17639853.08000000 2.373288954917 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 6.32000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGP1 291330.81000000 PA USD 290500.23000000 0.039084281718 Long ABS-MBS USGA US N 2 2060-10-20 Floating 5.79400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177X4K1 50253.82000000 PA USD 50073.11000000 0.006736901853 Long ABS-MBS USGA US N 2 2063-04-20 Variable 4.63000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-E 63942EAA6 3203186.43000000 PA USD 2764888.02000000 0.371991658302 Long ABS-O CORP US N 2 2069-12-16 Fixed 0.97000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403G5H1 265832.55000000 PA USD 269459.58000000 0.036253445088 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 6.02000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AW4 241178.10000000 PA USD 246508.18000000 0.033165533649 Long ABS-MBS USGA US N 2 2063-02-20 Floating 7.76700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31294L6P3 5480.94000000 PA USD 5452.36000000 0.000733567661 Long ABS-MBS USGSE US N 2 2025-01-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAH9 191488.33000000 PA USD 191206.75000000 0.025725206770 Long ABS-MBS USGA US N 2 2065-04-20 Floating 5.92400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJV4 12050000.00000000 PA USD 11954918.03000000 1.608430341730 Long DBT UST US N 2 2026-01-31 Fixed 4.25000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137BXQY1 2580000.00000000 PA USD 2477247.63000000 0.333292143206 Long ABS-MBS USGSE US N 2 2027-03-25 Fixed 3.22400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418NB58 239528.62000000 PA USD 243721.14000000 0.032790561634 Long ABS-MBS USGSE US N 2 2037-07-01 Floating 6.05400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BUB6 87.05000000 PA USD 83.97000000 0.000011297433 Long ABS-MBS USGA US N 3 2062-05-20 Floating 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403BAF0 102462.12000000 PA USD 102430.06000000 0.013781074533 Long ABS-MBS USGSE US N 2 2033-10-01 Floating 5.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375LQF0 622622.08000000 PA USD 616108.68000000 0.082892069375 Long ABS-MBS USGA US N 3 2037-10-20 Floating 5.96300000 N N N N N N FannieMae Whole Loan N/A Fannie Mae REMIC Trust 2002-W10 31392ET59 4953.52000000 PA USD 4508.09000000 0.000606524337 Long ABS-MBS USGSE US N 3 2042-08-25 Variable 4.59100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414FJD4 146951.23000000 PA USD 145942.19000000 0.019635253537 Long ABS-MBS USGSE US N 2 2038-08-01 Floating 5.86600000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CFU0 5270000.00000000 PA USD 5228210.53000000 0.703410297611 Long DBT UST US N 2 2027-10-31 Fixed 4.12500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UWF3 4662.09000000 PA USD 4182.96000000 0.000562780921 Long ABS-MBS USGA US N 3 2065-03-20 Fixed 1.75000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRE98 707393.10000000 PA USD 705820.64000000 0.094962034063 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 5.85000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJR3 13575000.00000000 PA USD 13285470.77000000 1.787444651399 Long DBT UST US N 2 2028-12-31 Fixed 3.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410F3T0 27791.60000000 PA USD 27827.58000000 0.003743959088 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 4.31500000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-c 63942JAA5 1350986.67000000 PA USD 1187110.64000000 0.159715421517 Long ABS-O CORP US N 2 2069-10-15 Fixed 1.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGTA2 248455.06000000 PA USD 249756.07000000 0.033602509026 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31398JLT8 496010.78000000 PA USD 446336.79000000 0.060050736764 Long ABS-MBS USGSE US N 2 2048-06-15 Variable 2.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHNE8 330784.46000000 PA USD 330063.18000000 0.044407132869 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 5.84000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3137B2PW4 98978.08000000 PA USD 86487.56000000 0.011636149686 Long ABS-MBS USGSE US N 3 2043-06-15 Floating 0.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390NP30 1576.80000000 PA USD 1610.92000000 0.000216735288 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31395UKP5 341070.36000000 PA USD 343385.65000000 0.046199555445 Long ABS-MBS USGSE US N 3 2035-05-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LFQ1 3889893.46000000 PA USD 3860215.13000000 0.519358403388 Long ABS-MBS USGA US N 2 2068-06-20 Floating 5.02700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378DLM5 1756745.42000000 PA USD 1750577.14000000 0.235524942994 Long ABS-MBS USGA US N 2 2038-09-20 Floating 5.69300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FHGE7 8074465.66000000 PA USD 7861470.95000000 1.057692606079 Long ABS-MBS USGSE US N 2 2026-09-25 Fixed 3.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EGLN2 98889.40000000 PA USD 100610.30000000 0.013536241637 Long ABS-MBS USGSE US N 2 2034-09-01 Floating 6.08800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN45 16841.51000000 PA USD 16526.29000000 0.002223468718 Long ABS-MBS USGA US N 2 2064-01-20 Variable 4.30300000 N N N N N N Fanniemae-Aces B1V7KEBTPIMZEU4LTD58 Fannie Mae-Aces 3136B8HP7 700246.76000000 PA USD 698329.48000000 0.093954163578 Long ABS-MBS USGSE US N 2 2027-01-25 Floating 5.89400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FTZZ3 2801454.97000000 PA USD 2797105.43000000 0.376326230873 Long ABS-MBS USGSE US N 2 2030-05-25 Floating 5.90400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKR3 6044109.25000000 PA USD 5956803.30000000 0.801436123894 Long ABS-MBS USGA US N 2 2068-09-20 Floating 5.86400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411KKA0 331194.26000000 PA USD 332286.06000000 0.044706202058 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 4.82400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5HG2 206445.49000000 PA USD 203170.75000000 0.027334859012 Long ABS-MBS USGSE US N 2 2037-06-01 Floating 5.64300000 N N N N N N CFCRE Commercial Mortgage Trust N/A CFCRE Commercial Mortgage Trust 2016-C7 12532BAD9 1745000.00000000 PA USD 1661097.61000000 0.223486249742 Long ABS-MBS CORP US N 2 2054-12-10 Fixed 3.83900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378U8D2 2144292.89000000 PA USD 2141380.51000000 0.288104140641 Long ABS-MBS USGA US N 2 2064-07-20 Floating 5.94400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUNV2 2156573.97000000 PA USD 2149970.97000000 0.289259912390 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 5.83000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F73D5 452835.48000000 PA USD 448234.67000000 0.060306080027 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 5.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36193DHJ4 520355.99000000 PA USD 511330.26000000 0.068795043409 Long ABS-MBS USGA US N 2 2066-02-20 Variable 4.55100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H2NT7 3909803.68000000 PA USD 3631625.06000000 0.488603595744 Long ABS-MBS USGSE US N 2 2051-05-25 Variable 1.24200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230RPD2 6553.75000000 PA USD 6312.17000000 0.000849247625 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.64500000 N N N N N N Hudsons Bay Simon JV Trust N/A Hudsons Bay Simon JV Trust 2015-HBS 44422PAU6 2070217.05000000 PA USD 2011158.52000000 0.270583903417 Long ABS-MBS CORP US N 2 2034-08-05 Fixed 3.91400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375U6F2 1849.75000000 PA USD 1791.23000000 0.000240994432 Long ABS-MBS USGA US N 3 2064-10-20 Floating 5.64400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJK8 5565000.00000000 PA USD 5583042.79000000 0.751149894970 Long DBT UST US N 2 2026-11-15 Fixed 4.62500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402C2Z4 79289.60000000 PA USD 78503.69000000 0.010561989351 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 5.77000000 N N N N N N FANNIE DISCOUNT NOTE B1V7KEBTPIMZEU4LTD58 Fannie Mae Discount Notes 313588VA0 52900000.00000000 PA USD 52869552.88000000 7.113138943530 Long DBT USGSE US N 2 2024-04-01 None 0.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2K0 1264.04000000 PA USD 1230.50000000 0.000165553082 Long ABS-MBS USGA US N 2 2061-06-20 Variable 4.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RKZ8 2393.65000000 PA USD 2306.17000000 0.000310275134 Long ABS-MBS USGA US N 3 2061-08-20 Floating 6.12400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136BANP5 3989044.14000000 PA USD 3880250.94000000 0.522054047527 Long ABS-MBS USGSE US N 2 2050-06-25 Floating 5.94300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CKD2 4815000.00000000 PA USD 4821394.90000000 0.648676789515 Long DBT UST US N 2 2029-02-28 Fixed 4.25000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31398WB86 362054.15000000 PA USD 357028.08000000 0.048035025859 Long ABS-MBS USGSE US N 2 2036-12-15 Floating 3.97900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36178FK54 80264.17000000 PA USD 77547.04000000 0.010433280406 Long ABS-MBS USGA US N 2 2063-07-20 Variable 4.14000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5FZ5 7165000.00000000 PA USD 6311979.52000000 0.849221998082 Long ABS-MBS USGSE US N 2 2030-11-25 Fixed 2.33300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHN4 18775000.00000000 PA USD 18741997.12000000 2.521572858700 Long DBT UST US N 2 2025-07-31 Fixed 4.75000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PQQW4 4607.77000000 PA USD 4565.20000000 0.000614207991 Long ABS-MBS USGSE US N 2 2024-12-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KSK1 359536.69000000 PA USD 362935.27000000 0.048829786945 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 5.60300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403LGT2 1558.11000000 PA USD 1618.34000000 0.000217733584 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ECC50 59633.97000000 PA USD 53611.85000000 0.007213008571 Long ABS-MBS USGSE US N 2 2042-03-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HMD3 1731.27000000 PA USD 1685.71000000 0.000226797632 Long ABS-MBS USGA US N 2 2062-08-20 Variable 4.57300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BJK9 211322.72000000 PA USD 210759.23000000 0.028355823058 Long ABS-MBS USGA US N 2 2060-12-20 Floating 5.82400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402LJ86 47730.04000000 PA USD 47693.37000000 0.006416728514 Long ABS-MBS USGSE US N 2 2033-08-01 Floating 6.26600000 N N N N N N Exeter Automobile Receivables Trust N/A Exeter Automobile Receivables Trust 2022-5 30167FAC6 437935.49000000 PA USD 437863.76000000 0.058910764202 Long ABS-O CORP US N 2 2026-04-15 Fixed 5.43000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4E94 402234.21000000 PA USD 404280.97000000 0.054392491617 Long ABS-MBS USGSE US N 2 2035-09-01 Floating 6.01500000 N N N N N N Wheels Fleet Lease Funding LLC 549300BSFY0E0XXREF43 Wheels Fleet Lease Funding 1 LLC 96328GAS6 1110000.00000000 PA USD 1110532.80000000 0.149412538548 Long ABS-O CORP US N 2 2038-04-18 Fixed 5.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CGC9 10465000.00000000 PA USD 10296170.14000000 1.385260226396 Long DBT UST US N 2 2027-12-31 Fixed 3.87500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E0KH8 635539.36000000 PA USD 644139.10000000 0.086663318822 Long ABS-MBS USGA US N 2 2061-02-20 Floating 7.24500000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GM0 127192.69000000 PA USD 127711.36000000 0.017182453772 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 5.62300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376ETM7 97600.38000000 PA USD 96752.69000000 0.013017233731 Long ABS-MBS USGA US N 3 2059-11-20 Floating 6.59300000 N N N N N N Bankers Healthcare Group Securitization Trust N/A BHG Securitization Trust 2024-1CON 08862HAA0 810000.00000000 PA USD 812850.39000000 0.109361956918 Long ABS-O CORP US N 2 2035-04-17 Fixed 5.81000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWHP8 128033.99000000 PA USD 127101.28000000 0.017100372809 Long ABS-MBS USGSE US N 2 2030-08-25 Floating 5.73400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FPJ55 5988734.80000000 PA USD 5723932.11000000 0.770105328754 Long ABS-MBS USGSE US N 2 2027-07-25 Fixed 2.60600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38374KVF7 808174.99000000 PA USD 795066.50000000 0.106969289047 Long ABS-MBS USGA US N 3 2035-02-20 Floating 5.64300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406L4W5 274358.90000000 PA USD 276035.33000000 0.037138155113 Long ABS-MBS USGSE US N 2 2036-01-01 Floating 6.31000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CAL5 4010000.00000000 PA USD 3497315.24000000 0.470533376514 Long DBT UST US N 2 2027-09-30 Fixed 0.37500000 N N N N N N COMM Mortgage Trust N/A Commercial Mortgage Pass Through Certificates 12624NAC4 987985.36000000 PA USD 918241.89000000 0.123541467471 Long ABS-MBS CORP US N 2 2030-10-05 Fixed 3.40000000 N N N N N N Enterprise Fleet Financing LLC RKWYUSIDZTWNAX1D9U96 Enterprise Fleet Financing 2022-3 LLC 29374FAB9 452709.92000000 PA USD 447880.73000000 0.060258460476 Long ABS-O CORP US N 2 2029-07-20 Fixed 4.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RA85 26813.75000000 PA USD 25858.99000000 0.003479102409 Long ABS-MBS USGA US N 2 2061-12-20 Variable 4.14000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJW2 4080000.00000000 PA USD 4037925.00000000 0.543267722232 Long DBT UST US N 2 2029-01-31 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FGZ99 6185735.00000000 PA USD 6067210.75000000 0.816290486934 Long ABS-MBS USGSE US N 2 2025-12-25 Fixed 3.79900000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZR8 806228.83000000 PA USD 803323.83000000 0.108080241049 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 5.79400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300L5J0 216572.66000000 PA USD 221241.73000000 0.029766152348 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 6.22800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TNH6 8311.28000000 PA USD 7864.17000000 0.001058055739 Long ABS-MBS USGA US N 2 2063-06-20 Variable 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BT24 186281.91000000 PA USD 188614.16000000 0.025376396313 Long ABS-MBS USGSE US N 2 2035-07-01 Floating 7.36600000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36297E2R5 19782.04000000 PA USD 19681.94000000 0.002648034005 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409VJ46 48393.46000000 PA USD 48377.90000000 0.006508826077 Long ABS-MBS USGSE US N 2 2036-09-01 Floating 5.93400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWJ76 3140000.00000000 PA USD 3116481.40000000 0.419295492501 Long ABS-MBS USGSE US N 2 2030-04-25 Floating 5.69000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AQT7 622771.60000000 PA USD 632412.80000000 0.085085647050 Long ABS-MBS USGSE US N 2 2034-04-01 Floating 6.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36230KSC6 9721.98000000 PA USD 9586.70000000 0.001289807183 Long ABS-MBS USGA US N 2 2061-08-20 Variable 4.67700000 N N N N N N Sierra Receivables Funding Co LLC N/A Sierra Timeshare 2020-2 Receivables Funding LLC 826525AA5 347396.90000000 PA USD 332915.31000000 0.044790862177 Long ABS-O CORP US N 2 2037-07-20 Fixed 1.33000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H6LM5 18877975.15000000 PA USD 17051738.71000000 2.294163276703 Long ABS-MBS USGSE US N 2 2031-10-25 Fixed 2.20900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31390TZ77 10959.10000000 PA USD 10933.49000000 0.001471006075 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 7.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403GDV1 1762.05000000 PA USD 1821.68000000 0.000245091214 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AFEL4 1840298.10000000 PA USD 1723694.97000000 0.231908180606 Long ABS-MBS USGSE US N 2 2043-07-25 Floating 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LXV0 476934.24000000 PA USD 476292.67000000 0.064081040125 Long ABS-MBS USGA US N 2 2069-08-20 Floating 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31391WRV5 134944.37000000 PA USD 137744.61000000 0.018532340378 Long ABS-MBS USGSE US N 2 2033-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407JTE2 65553.34000000 PA USD 64667.81000000 0.008700491921 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 5.76400000 N N N N N N Toyota Auto Loan Extended Note Trust 549300VJ12IVOF78MZ11 Toyota Auto Loan Extended Note Trust 2022-1 89231EAA1 4365000.00000000 PA USD 4222211.25000000 0.568061835861 Long ABS-O CORP US N 2 2035-04-25 Fixed 3.82000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36207KEF3 12769.90000000 PA USD 12826.82000000 0.001725737175 Long ABS-MBS USGA US N 2 2028-10-15 Fixed 7.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1CU6 392424.01000000 PA USD 402313.72000000 0.054127815223 Long ABS-MBS USGA US N 2 2063-03-20 Floating 7.60400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410QY39 126888.23000000 PA USD 128854.23000000 0.017336217000 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 6.61100000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H3KE1 12456790.11000000 PA USD 12324050.55000000 1.658093914813 Long ABS-MBS USGSE US N 2 2028-09-25 Floating 5.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407RP57 124133.29000000 PA USD 123365.70000000 0.016597782980 Long ABS-MBS USGSE US N 2 2035-08-01 Floating 6.22300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRYZ8 4980730.55000000 PA USD 4992150.87000000 0.671650521538 Long ABS-MBS USGSE US N 2 2027-02-25 Floating 6.13400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 9128283W8 71120000.00000000 PA USD 67136169.11000000 9.032588191160 Long DBT UST US N 2 2028-02-15 Fixed 2.75000000 N N N N N N Bank5 N/A BANK5 2023-5YR4 06211FAV0 855000.00000000 PA USD 900851.94000000 0.121201800804 Long ABS-MBS CORP US N 2 2056-12-15 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQV0 66236.97000000 PA USD 65661.05000000 0.008834123732 Long ABS-MBS USGSE US N 2 2038-09-01 Floating 6.22700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RFW1 18950.17000000 PA USD 18157.68000000 0.002442958067 Long ABS-MBS USGA US N 3 2065-07-20 Floating 5.74400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HMK7 13975.63000000 PA USD 13690.15000000 0.001841890725 Long ABS-MBS USGA US N 2 2062-12-20 Variable 4.39000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31401XPH4 133248.40000000 PA USD 133215.38000000 0.017922971837 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 5.94400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAZ9 1692.72000000 PA USD 1627.17000000 0.000218921584 Long ABS-MBS USGA US N 3 2065-04-20 Floating 5.69400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405EJP1 85782.64000000 PA USD 84531.46000000 0.011372973428 Long ABS-MBS USGSE US N 2 2034-08-01 Floating 5.96300000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31396AXW9 523673.26000000 PA USD 520328.72000000 0.070005708012 Long ABS-MBS USGSE US N 3 2035-09-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411NP84 453896.35000000 PA USD 456722.57000000 0.061448053219 Long ABS-MBS USGSE US N 2 2047-02-01 Floating 6.44500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RBW5 931787.29000000 PA USD 927832.41000000 0.124831788602 Long ABS-MBS USGA US N 2 2065-05-20 Floating 5.67400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CGP0 12315000.00000000 PA USD 12171164.62000000 1.637524441395 Long DBT UST US N 2 2028-02-29 Fixed 4.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300MBP7 463503.34000000 PA USD 459924.00000000 0.061878777807 Long ABS-MBS USGSE US N 2 2041-09-01 Floating 5.27600000 N N N N N N BPR Trust N/A BPR Trust 2022-SSP 05602HAA1 4650000.00000000 PA USD 4670343.75000000 0.628354169803 Long ABS-MBS CORP US N 2 2039-05-15 Floating 8.32500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136AMRW1 2918375.28000000 PA USD 2861007.03000000 0.384923635896 Long ABS-MBS USGSE US N 2 2045-02-25 Floating 5.83500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BN32 412900.17000000 PA USD 407421.86000000 0.054815071074 Long ABS-MBS USGA US N 3 2063-03-20 Floating 5.79400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 31397RFM3 185097.63000000 PA USD 186312.24000000 0.025066692979 Long ABS-MBS USGSE US N 3 2038-02-15 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FWGD6 395965.16000000 PA USD 392909.10000000 0.052862505321 Long ABS-MBS USGSE US N 2 2030-07-25 Floating 5.64000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176RBE1 3358.33000000 PA USD 3217.64000000 0.000432905503 Long ABS-MBS USGA US N 2 2062-02-20 Variable 4.63000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BH39 10704.18000000 PA USD 10345.08000000 0.001391840623 Long ABS-MBS USGA US N 3 2062-12-20 Floating 5.94400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHL8 15490000.00000000 PA USD 15433727.77000000 2.076473964018 Long DBT UST US N 2 2025-06-30 Fixed 4.62500000 N N N N N N PenFed Auto Receivables Owner Trust N/A PenFed Auto Receivables Owner Trust 2022-A 706874AD6 620000.00000000 PA USD 610880.23000000 0.082188626858 Long ABS-O CORP US N 2 2028-12-15 Fixed 4.18000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385WZT9 656.70000000 PA USD 676.54000000 0.000091022578 Long ABS-MBS USGSE US N 2 2033-01-01 Fixed 6.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MS78 714007.39000000 PA USD 731545.08000000 0.098423033939 Long ABS-MBS USGSE US N 2 2033-11-01 Floating 6.21900000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31386DT42 3689.68000000 PA USD 3722.11000000 0.000500777558 Long ABS-MBS USGSE US N 2 2030-12-01 Fixed 7.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHX2 13620000.00000000 PA USD 13675863.25000000 1.839968567367 Long DBT UST US N 2 2028-08-31 Fixed 4.37500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36198NVQ5 74459.42000000 PA USD 74192.08000000 0.009981899690 Long ABS-MBS USGA US N 2 2064-05-20 Variable 4.70000000 N N N N N N Donlen Fleet Lease Funding 549300ZWUQETU54FDP26 Donlen Fleet Lease Funding 2 LLC 257812AD9 110427.52000000 PA USD 109994.70000000 0.014798831114 Long ABS-O CORP US N 2 2034-12-11 Fixed 0.56000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382EHC4 2894448.84000000 PA USD 2715030.64000000 0.365283781046 Long ABS-MBS USGA US N 2 2046-05-20 Floating 5.89000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A7YW6 2616090.42000000 PA USD 2580768.49000000 0.347219975401 Long ABS-MBS USGSE US N 2 2042-08-25 Floating 5.94500000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3617A5D44 1716344.93000000 PA USD 1681773.11000000 0.226267958612 Long ABS-MBS USGA US N 2 2065-10-20 Variable 4.46800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380L2S1 3476852.84000000 PA USD 3470438.74000000 0.466917376976 Long ABS-MBS USGA US N 2 2069-06-20 Floating 5.94400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LU50 3109011.74000000 PA USD 3109017.34000000 0.418291268085 Long ABS-MBS USGA US N 2 2070-01-20 Floating 6.04400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31297ANS9 9857.55000000 PA USD 9575.22000000 0.001288262649 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RAC0 1366091.41000000 PA USD 1316509.67000000 0.177124936624 Long ABS-MBS USGA US N 2 2065-04-20 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BPT9 202859.84000000 PA USD 203230.17000000 0.027342853456 Long ABS-MBS USGSE US N 2 2036-06-01 Floating 4.85700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411JPT7 166931.00000000 PA USD 167345.76000000 0.022514917899 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 6.18800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQS7 35449.97000000 PA USD 35373.16000000 0.004759151311 Long ABS-MBS USGSE US N 2 2037-12-01 Floating 5.87500000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJF9 18230000.00000000 PA USD 18687886.37000000 2.514292727469 Long DBT UST US N 2 2028-10-31 Fixed 4.87500000 N N N N N N COMM Mortgage Trust N/A COMM 2016-DC2 Mortgage Trust 12594CBD1 1408399.10000000 PA USD 1383875.77000000 0.186188460018 Long ABS-MBS CORP US N 2 2049-02-10 Fixed 3.55000000 N N N N N N Carvana Auto Receivables Trust N/A Carvana Auto Receivables Trust 2021-N2 14686KAB3 1461378.49000000 PA USD 1394923.76000000 0.187674871074 Long ABS-O CORP US N 2 2028-03-10 Fixed 0.97000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHV6 3710000.00000000 PA USD 3717535.94000000 0.500162158148 Long DBT UST US N 2 2025-08-31 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412EJ23 19244.80000000 PA USD 19509.64000000 0.002624852537 Long ABS-MBS USGSE US N 2 2037-02-01 Floating 7.05700000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31342AXY0 171574.21000000 PA USD 170343.46000000 0.022918232387 Long ABS-MBS USGSE US N 2 2033-07-01 Floating 6.15300000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380QBX9 2873195.15000000 PA USD 2862219.54000000 0.385086768581 Long ABS-MBS USGA US N 2 2070-05-20 Floating 5.84400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LX40 1082841.20000000 PA USD 1077717.30000000 0.144997498165 Long ABS-MBS USGA US N 2 2070-01-20 Floating 5.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Bills 912797JM0 11850000.00000000 PA USD 11836197.36000000 1.592457507174 Long STIV UST US N 2 2024-04-09 None 0.00000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LUJ2 396020.65000000 PA USD 398653.13000000 0.053635314646 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 6.38400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AR6M1 663220.41000000 PA USD 680161.17000000 0.091509775336 Long ABS-MBS USGSE US N 2 2041-10-01 Floating 6.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375UMN7 2385426.22000000 PA USD 2382335.18000000 0.320522497776 Long ABS-MBS USGA US N 2 2064-07-20 Floating 5.96300000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUN59 3838266.00000000 PA USD 3825451.95000000 0.514681319585 Long ABS-MBS USGSE US N 2 2030-06-25 Floating 5.87400000 N N N N N N Bank N/A BANK 2020-BNK25 06539WBB1 1595000.00000000 PA USD 1389822.23000000 0.186988504541 Long ABS-MBS CORP US N 2 2063-01-15 Fixed 2.64900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQ40 597442.52000000 PA USD 606838.18000000 0.081644804153 Long ABS-MBS USGSE US N 2 2036-02-01 Floating 6.22600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHAW2 217728.09000000 PA USD 218867.16000000 0.029446674587 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31359HYC2 31.90000000 PA USD 30.85000000 0.000004150599 Long ABS-MBS USGSE US N 3 2024-04-25 Floating 3.80000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FRZ61 17368193.69000000 PA USD 17490516.14000000 2.353196967265 Long ABS-MBS USGSE US N 2 2030-03-25 Floating 6.23400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5NW0 53886.67000000 PA USD 53332.65000000 0.007175444637 Long ABS-MBS USGSE US N 2 2038-03-01 Floating 5.21700000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378U8R1 1316292.26000000 PA USD 1314283.60000000 0.176825438248 Long ABS-MBS USGA US N 2 2065-02-20 Floating 5.93300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31393CLX9 456591.09000000 PA USD 457543.95000000 0.061558562761 Long ABS-MBS USGSE US N 3 2033-06-25 Fixed 5.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128PWV21 8243.59000000 PA USD 8025.89000000 0.001079813760 Long ABS-MBS USGSE US N 2 2026-10-01 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CKH3 44880000.00000000 PA USD 44767800.00000000 6.023118491638 Long DBT UST US N 2 2026-03-31 Fixed 4.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S4C54 244548.65000000 PA USD 250421.70000000 0.033692063759 Long ABS-MBS USGSE US N 2 2036-03-01 Floating 5.84200000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 31395HHV5 224553.16000000 PA USD 201401.51000000 0.027096823143 Long ABS-MBS USGSE US N 3 2044-10-25 Floating 6.28900000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BGF3 323382.51000000 PA USD 322271.40000000 0.043358816575 Long ABS-MBS USGA US N 2 2060-10-20 Floating 5.77400000 N N N N N N Avis Budget Rental Car Funding AESOP LLC IHXLB8SL0QWSSG2VG640 Avis Budget Rental Car Funding AESOP LLC 05377REZ3 3220000.00000000 PA USD 3089002.99000000 0.415598511202 Long ABS-O CORP US N 2 2028-08-21 Fixed 3.83000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36176HLJ1 7652.16000000 PA USD 7286.45000000 0.000980328533 Long ABS-MBS USGA US N 2 2062-06-20 Variable 4.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406CC22 99256.53000000 PA USD 102539.51000000 0.013795800079 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FXLT3 454669.92000000 PA USD 451603.17000000 0.060759282433 Long ABS-MBS USGSE US N 2 2027-08-25 Floating 5.64000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJS1 3850000.00000000 PA USD 3818267.57000000 0.513714723682 Long DBT UST US N 2 2025-12-31 Fixed 4.25000000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2019-F 63935CAB7 1225422.32000000 PA USD 1146739.67000000 0.154283858297 Long ABS-O CORP US N 2 2068-08-15 Fixed 2.60000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RSJ6 2608700.50000000 PA USD 2606171.10000000 0.350637675847 Long ABS-MBS USGA US N 2 2066-02-20 Floating 6.36400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38382DYY9 1495952.28000000 PA USD 1442105.33000000 0.194022741345 Long ABS-MBS USGA US N 2 2048-04-20 Floating 5.84000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BU42 503075.97000000 PA USD 501858.12000000 0.067520649278 Long ABS-MBS USGA US N 2 2063-03-20 Floating 5.84400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FQ3S0 5148213.67000000 PA USD 5136845.38000000 0.691117910573 Long ABS-MBS USGSE US N 2 2026-10-25 Floating 5.93400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411E2N6 33721.37000000 PA USD 33793.74000000 0.004546654074 Long ABS-MBS USGSE US N 2 2037-01-01 Floating 6.07400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 31283H6S9 94334.54000000 PA USD 97168.85000000 0.013073224443 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 6.50000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LUP8 955445.62000000 PA USD 978088.24000000 0.131593273844 Long ABS-MBS USGSE US N 2 2037-03-01 Floating 6.05400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RU61 1904233.42000000 PA USD 1895958.38000000 0.255084725583 Long ABS-MBS USGA US N 2 2067-02-20 Floating 6.19400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200WT68 4061.54000000 PA USD 4226.10000000 0.000568585033 Long ABS-MBS USGA US N 2 2031-12-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31397ME86 470414.35000000 PA USD 449669.41000000 0.060499111828 Long ABS-MBS USGSE US N 2 2038-08-25 Variable 3.50700000 N N N N N N Starwood Retail Property Trust 5493007115G809OI4R97 Starwood Retail Property Trust 2014-STAR 85571XAA5 2995449.19000000 PA USD 2189269.87000000 0.294547237907 Long ABS-MBS CORP US N 2 2027-11-15 Floating 8.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FUZS6 604671.62000000 PA USD 600975.93000000 0.080856089354 Long ABS-MBS USGSE US N 2 2027-06-25 Floating 5.72000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419A6G7 104639.72000000 PA USD 105422.99000000 0.014183747258 Long ABS-MBS USGSE US N 2 2036-11-01 Floating 5.84700000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HRRB1 5200000.00000000 PA USD 5070851.71000000 0.682239035710 Long ABS-MBS USGSE US N 2 2026-01-01 Fixed 3.58000000 N N N N N N MVW 2020-1 LLC N/A MVW 2020-1 LLC 55400EAA7 247167.19000000 PA USD 231641.48000000 0.031165348344 Long ABS-O CORP US N 2 2037-10-20 Fixed 1.74000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F73C7 377159.47000000 PA USD 375174.59000000 0.050476481100 Long ABS-MBS USGSE US N 2 2027-10-25 Floating 5.71400000 N N N N N N FHLMC Structured Pass Through Securities S6XOOCT0IEG5ABCC6L87 Freddie Mac Structured Pass-Through Certificates 31394XVP8 4446.21000000 PA USD 3736.86000000 0.000502762042 Long ABS-MBS USGSE US N 3 2044-03-25 Variable 4.12300000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHK0 42930000.00000000 PA USD 42453745.31000000 5.711782540486 Long DBT UST US N 2 2028-06-30 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CHQ7 7645000.00000000 PA USD 7597218.75000000 1.022139768721 Long DBT UST US N 2 2028-07-31 Fixed 4.12500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHMU3 823763.47000000 PA USD 844581.70000000 0.113631128958 Long ABS-MBS USGSE US N 2 2034-10-01 Floating 5.80800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LRU9 5748925.42000000 PA USD 5278046.46000000 0.710115288956 Long ABS-MBS USGA US N 2 2068-09-20 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CKG5 20345000.00000000 PA USD 20257579.98000000 2.725481363242 Long DBT UST US N 2 2029-03-31 Fixed 4.12500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H5DX2 11380000.00000000 PA USD 10171318.82000000 1.368462566154 Long ABS-MBS USGSE US N 2 2028-11-25 Variable 2.05000000 N N N N N N Welk Resorts LLC N/A Welk Resorts 2019-A LLC 94946DAA9 474822.83000000 PA USD 461891.98000000 0.062143552416 Long ABS-O CORP US N 2 2038-06-15 Fixed 2.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CFZ9 26990000.00000000 PA USD 26553520.96000000 3.572545515131 Long DBT UST US N 2 2027-11-30 Fixed 3.87500000 N N N N N N Toyota Auto Loan Extended Note Trust 2020-1 549300XP7ILZSI1BWP36 Toyota Auto Loan Extended Note Trust 2020-1 89237JAA4 765000.00000000 PA USD 729985.19000000 0.098213164294 Long ABS-O CORP US N 2 2033-05-25 Fixed 1.35000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404FAG8 82984.76000000 PA USD 84971.58000000 0.011432187750 Long ABS-MBS USGSE US N 2 2034-03-01 Floating 4.63600000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Gold Pool 3128M87E8 85606.67000000 PA USD 81213.46000000 0.010926565359 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Barclays Commercial Mortgage Securities LLC N/A BBCMS 2020-BID Mortgage Trust 05493BAA6 3895000.00000000 PA USD 3875525.00000000 0.521418213365 Long ABS-MBS CORP US N 2 2037-10-15 Floating 7.58000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36177TN29 140259.94000000 PA USD 137942.30000000 0.018558937850 Long ABS-MBS USGA US N 2 2063-11-20 Variable 4.47500000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FNXD7 8515000.00000000 PA USD 8530572.23000000 1.147714369318 Long ABS-MBS USGSE US N 2 2029-08-25 Floating 6.08400000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137H92P3 16300000.00000000 PA USD 15732287.30000000 2.116642554523 Long ABS-MBS USGSE US N 2 2032-11-25 Fixed 4.11800000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137FKJH0 403545.87000000 PA USD 402223.97000000 0.054115740141 Long ABS-MBS USGSE US N 2 2045-10-25 Floating 5.82400000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 U.S. Treasury Notes 91282CJE2 9130000.00000000 PA USD 9155678.13000000 1.231816936465 Long DBT UST US N 2 2025-10-31 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38376RMB9 1406.27000000 PA USD 1355.95000000 0.000182431290 Long ABS-MBS USGA US N 3 2065-10-20 Floating 6.14400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375BZY1 8934.84000000 PA USD 8589.16000000 0.001155596844 Long ABS-MBS USGA US N 3 2062-10-20 Floating 5.94400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375B3P5 67886.76000000 PA USD 67092.32000000 0.009026688674 Long ABS-MBS USGA US N 3 2063-05-20 Floating 5.91400000 N N N N N N BPR Trust N/A BPR Trust 2021-NRD 05592CAA4 1825000.00000000 PA USD 1724919.74000000 0.232072962767 Long ABS-MBS CORP US N 2 2038-12-15 Floating 6.85100000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 31396V4Q8 258259.48000000 PA USD 248830.09000000 0.033477926464 Long ABS-MBS USGSE US N 3 2037-07-25 Floating 5.69200000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36185KDJ2 454297.88000000 PA USD 464434.86000000 0.062485674824 Long ABS-MBS USGA US N 2 2065-06-20 Floating 7.67000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31300LQP3 126666.78000000 PA USD 126243.48000000 0.016984963273 Long ABS-MBS USGSE US N 2 2034-12-01 Floating 6.09400000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128QLUU3 55410.53000000 PA USD 54965.98000000 0.007395194996 Long ABS-MBS USGSE US N 2 2036-04-01 Floating 6.29000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36186QVP4 326213.77000000 PA USD 333478.39000000 0.044866619699 Long ABS-MBS USGA US N 2 2065-05-20 Floating 7.69400000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AMC8 439655.31000000 PA USD 450711.96000000 0.060639377871 Long ABS-MBS USGSE US N 2 2037-09-01 Floating 5.33800000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38380LKG7 61480.87000000 PA USD 61263.62000000 0.008242487736 Long ABS-MBS USGA US N 2 2068-09-20 Floating 5.79400000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 3620E1AY0 516482.55000000 PA USD 526651.68000000 0.070856407338 Long ABS-MBS USGA US N 2 2063-02-20 Floating 7.34100000 N N N N N N SPGN TFLM Mortgage Trust N/A SPGN 2022-TFLM Mortgage Trust 78473HAA4 3295000.00000000 PA USD 3238674.61000000 0.435735527139 Long ABS-MBS CORP US N 2 2039-02-15 Floating 6.87500000 N N N N N N DROP Mortgage Trust 2021-FILE N/A DROP Mortgage Trust 2021-FILE 26210YAA4 2570000.00000000 PA USD 2471368.80000000 0.332501197712 Long ABS-MBS CORP US N 2 2043-10-15 Floating 6.58900000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac REMICS 3133TK5Q9 36684.62000000 PA USD 35115.03000000 0.004724422163 Long ABS-MBS USGSE US N 3 2029-03-15 Fixed 6.00000000 N N N N N N MVW Owner Trust N/A MVW 2024-1 LLC 62847RAA5 775000.00000000 PA USD 778002.35000000 0.104673455939 Long ABS-O CORP US N 2 2043-02-20 Fixed 5.32000000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31326NF55 975613.68000000 PA USD 999920.65000000 0.134530634902 Long ABS-MBS USGSE US N 2 2046-01-01 Floating 5.93800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 3128S5GE8 138632.40000000 PA USD 138859.55000000 0.018682345867 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 6.05000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. S6XOOCT0IEG5ABCC6L87 Freddie Mac Multifamily Structured Pass Through Certificates 3137F8ZR7 2444646.56000000 PA USD 2409796.66000000 0.324217201290 Long ABS-MBS USGSE US N 2 2030-12-25 Floating 5.57000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406XSY9 56861.91000000 PA USD 56565.73000000 0.007610427458 Long ABS-MBS USGSE US N 2 2035-06-01 Floating 6.22300000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae REMICS 3136A6JW5 1107688.97000000 PA USD 1094984.66000000 0.147320671413 Long ABS-MBS USGSE US N 2 2042-06-25 Floating 5.98500000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KSG0 509667.53000000 PA USD 520183.89000000 0.069986222394 Long ABS-MBS USGSE US N 2 2037-04-01 Floating 5.63800000 N N N N N N Freddie Mac S6XOOCT0IEG5ABCC6L87 Freddie Mac Non Gold Pool 31349ULH9 63602.01000000 PA USD 65054.34000000 0.008752496173 Long ABS-MBS USGSE US N 2 2035-02-01 Floating 6.49800000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GTH6 11859.87000000 PA USD 12603.18000000 0.001695648356 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.50000000 N N N N N N 2024-04-23 LOOMIS SAYLES FUNDS II John Sgroi John Sgroi Assistant Treasurer